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Ciser · 2021年04月16日

这道题如何判断担心USD升值？

  1. CFA III
  2. Asset Allocation

* 问题详情，请 查看题干

NO.PZ201601050100000302

问题如下：

2. For Subscriber 2, and assuming all of the choices relate to the KRW/USD exchange rate, the best way to implement the trading strategy would be to:

选项：

A.

write a straddle.

B.

buy a put option.

C.

use a long NDF position.

解释：

C is correct.

Based on predicted export trends, Subscriber 2 most likely expects the KRW/USD rate to appreciate (i.e., the won—the price currency—to depreciate relative to the USD). This would require a long forward position in a forward contract, but as a country with capital controls, a NDF would be used instead. (Note: While forward contracts offered by banks are generally an institutional product, not retail, the retail version of a non-deliverable forward contract is known as a -contract for differences- (CFD) and is available at several retail FX brokers.)

A is incorrect because Subscriber 2 expects the KRW/USD rate to appreciate. A short straddle position would be used when the direction of exchange rate movement is unknown and volatility is expected to remain low.

B is incorrect because a put option would profit from a depreciation of the KRW/USD rate, not an appreciation (as expected). Higher volatility would also make buying a put option more expensive.

没太懂为什么usd要升值，long forward
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1 个答案

Hertz_品职助教 · 2021年04月17日

嗨，从没放弃的小努力你好：


同学你好~

本小题讨论的是Subscriber 2（2号订阅者），对应题干信息说到：韩国出口下降而美国出口上升（“United states is experiencing a rise in exports”）,一国的出口增加将会使得本币升值，因此美元将会升值。你可以这样理解，美国的出口增加，那么市场上需要更多地美元来购买这些商品，对美元的需求增加，美元就升值了。

关于选项：

因为题干中说到预测波动率会增加，因此不应该write a straddle，因为这是赌波动率会不变或者下降的，A错。

标价形式为KRW/USD，我们研究的是USD，而USD升值，所以不应buy a put option. B错。

预测USD会升值，我们需要做USD升值可以获利的头寸，因此long forward，又因为资本管制的原因，所以我们选择使用NDF。C对

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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NO.PZ201601050100000302 老师，想问三个问题，谢谢。 为什么美国出口增加，美元是升值？？？难道不是美元贬值，更便宜，出口才会增加啊，因为卖的便宜，其他人才愿意买. 什么是N？ 如果判断美元会升值，那么有利的策略就是long forwaron US提前锁定美元汇率）？

2022-02-22 09:51 1 · 回答

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